famafrench.FamaFrench.mergeCCM

FamaFrench.mergeCCM(self, freq, dt_start, dt_end)[source]

Query the CRSP/Compustat (CCM) Merged Linking Table needed to merge CRSP securities to Compustat companies on (permno, gvkey) identifier pairs.

Parameters

  • freq (str) –

    Observation frequency. Possible choices are:

    • D : daily

    • W : weekly

    • M : monthly

    • Q : quarterly (3-months)

    • A : annual

  • dt_start (datetime.date) – Starting date for the dataset queried or locally retrieved.

  • dt_end (datetime.date) – Ending date for the dataset queried or locally retrieved.

Returns

The pandas.DataFrame dfccm_june is returned as a class attribute used in the class method famafrench.FamaFrench.getNyseThresholdsAndRet().

Return type

None

Note

List of (CCM) Merged Linking Table variables:

  • gvkey : Unique permanent identifier assigned by Compustat at the company-level

  • lpermno : Historical CRSP permno Link to Compustat Record

  • linktype : Link Type Code

  • linkprim : Primary Link Marker

  • linkdt : First Effective Date of Link

  • linkenddt : Last Effective Date of Link

Note

The approach followed here is similar to the one implemented in SAS found through WRDS Research Applications.